本文選題：最優(yōu)投資組合　切入點(diǎn)：模型不確定　出處：《安徽工程大學(xué)》2013年碩士論文

【摘要】：隨著金融市場(chǎng)的不斷發(fā)展,最優(yōu)消費(fèi)和投資組合決策問題為眾多學(xué)者所關(guān)注.一些國內(nèi)外學(xué)者已經(jīng)對(duì)最優(yōu)消費(fèi)和投資模型從不同的角度作了研究,但大多都是在金融市場(chǎng)模型完全信任的假設(shè)下建立最優(yōu)投資策略的,假設(shè)投資者對(duì)資產(chǎn)回報(bào)模型有完全的信心及不擔(dān)心模型的不確定性.但隨著金融市場(chǎng)的不斷創(chuàng)新和發(fā)展,投資者往往擔(dān)心模型的誤定,試圖尋找更加符合實(shí)際的投資模型.因此,本文基于現(xiàn)有的理論成果,結(jié)合當(dāng)前經(jīng)濟(jì)的發(fā)展?fàn)顩r,分析了模型不確定性對(duì)最優(yōu)消費(fèi)和投資組合決策的影響.在考慮投資模型存在模型誤定(即不確定性)的情況下,結(jié)合通脹環(huán)境和紅利支付情形,運(yùn)用隨機(jī)最優(yōu)控制的方法,建立最優(yōu)消費(fèi)和投資組合模型,使該模型具有更廣泛的代表性和更切實(shí)際的經(jīng)濟(jì)意義. 首先,在模型不確定下考慮股票支付紅利的情形.研究了帶有遞歸偏好的投資者在考慮股票紅利支付情形下的最優(yōu)消費(fèi)和投資組合.假設(shè)投資者擔(dān)心模型的誤定,因此尋求穩(wěn)健的決策規(guī)則.我們考慮一個(gè)股票預(yù)期收益率遵循一個(gè)均值回復(fù)過程的金融市場(chǎng).那么當(dāng)投資者跨期替代彈性等于1和風(fēng)險(xiǎn)厭惡適中時(shí),推導(dǎo)了最優(yōu)消費(fèi)和投資決策的顯示解.給定股票收益率和預(yù)期收益率為負(fù)的相關(guān)系數(shù)時(shí),通過數(shù)值模擬,發(fā)現(xiàn)模型不確定性厭惡增加了財(cái)富投資于股票的比例.同時(shí)股票支付紅利也進(jìn)一步加大了財(cái)富投資于股票的比例. 然后,在模型不確定下考慮通脹環(huán)境情形.探討了不同通脹環(huán)境下的通脹波動(dòng)率對(duì)最優(yōu)消費(fèi)和投資組合模型所產(chǎn)生的影響.建立投資者決策的值函數(shù)對(duì)應(yīng)的HJB方程,根據(jù)特定的效用函數(shù),推導(dǎo)了最優(yōu)消費(fèi)和投資決策的顯示解.通過對(duì)數(shù)值模擬結(jié)果的分析可知,對(duì)模型不確定的擔(dān)憂導(dǎo)致了短視需求的大幅減少,從而引起最優(yōu)股權(quán)分配比率的下滑.但在考慮低通脹波動(dòng)率的影響下,相對(duì)于無通脹情形,通脹對(duì)沖需求增加了最優(yōu)股權(quán)分配比率；而在考慮高通脹波動(dòng)率的影響時(shí),相對(duì)于無通脹情形,通脹對(duì)沖需求則加劇了最優(yōu)股權(quán)分配比率的下滑.
[Abstract]:With the development of financial market, the problem of optimal consumption and portfolio decision is concerned by many scholars.Some scholars at home and abroad have studied the optimal consumption and investment model from different angles, but most of them are based on the assumption that the financial market model is completely trusted to establish the optimal investment strategy.Assume that investors have complete confidence in the asset return model and do not worry about the uncertainty of the model.But with the continuous innovation and development of the financial market, investors often worry about the misdefinition of the model and try to find a more realistic investment model.Therefore, based on the existing theoretical results and combined with the current economic development, this paper analyzes the impact of model uncertainty on optimal consumption and portfolio decision.Considering the uncertainty of the investment model, the optimal consumption and investment portfolio model is established by using the stochastic optimal control method combined with the inflation environment and dividend payment.The model has more extensive representation and practical economic significance.Firstly, under the uncertainty of the model, the dividend payment is considered.The optimal consumption and portfolio of investors with recursive preference under the consideration of dividend payment are studied.Suppose that investors are worried about the misdefinition of the model, so they seek robust decision-making rules.We consider a financial market where the expected return on a stock follows an average recovery process.Then when the intertemporal substitution elasticity is equal to 1 and the risk aversion is moderate, the explicit solution of optimal consumption and investment decision is derived.Given the negative correlation coefficient between stock return and expected return, it is found by numerical simulation that uncertainty aversion increases the proportion of wealth invested in stocks.At the same time, dividends paid by stocks also further increased the proportion of wealth invested in stocks.Then, the inflation environment is considered under the uncertainty of the model.The influence of inflation volatility on the optimal consumption and investment portfolio model is discussed.The HJB equation corresponding to the value function of investor decision is established. According to the specific utility function, the display solution of optimal consumption and investment decision is derived.Through the analysis of the numerical simulation results, we can see that the worry about the uncertainty of the model leads to the sharp reduction of short-sighted demand, which leads to the decline of the optimal share allocation ratio.However, considering the impact of low inflation volatility, the demand for inflation hedging increases the optimal equity allocation ratio relative to the non-inflation situation, and when the impact of high inflation volatility is considered, it is relative to the non-inflation situation.Demand for inflation hedges has exacerbated the decline in the optimal equity allocation ratio.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.59;F224

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